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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

Market Microstructure Meeting

Tarun Chordia, Amit Goyal, Charles Jones, Bruce Lehmann, and Avanidhar Subrahmanyam, Organizers

December 16, 2011

Royal Sonesta Hotel
Riverfront Room
40 Edwin H. Land Blvd.
Cambridge, MA

Program

Thursday, December 15
7:00 pm	Group Dinner Dante Restaurant, Royal Sonesta Hotel
Friday, December 16
8:15 am	Continental Breakfast
8:45 am	Albert Menkveld, VU University Amsterdam High Frequency Trading and The New-Market Makers Discussant: Gideon Saar, Cornell University
9:35 am	Coffee Break
9:50 am	Paolo Pasquariello, University of Michigan Clara Vega, Federal Reserve Board Government Intervention and Strategic Trading in the U.S. Treasury Market Discussant: Gara Afonso, Federal Reserve Bank of New York
10:40 am	Coffee Break
10:55 am	Zhiguo He, University of Chicago Konstantin Milbradt, Massachusetts Institute of Technology Endogenous Liquidity and Defaultable Bonds Discussant: Burton Hollifield, Carnegie Mellon University
11:45 am	Lunch – Charles Room Speaker: Bob Fawls, Basis Point Group Operations, Liquidity and Market Confidence
1:30 pm	Thomas McInish, University of Memphis James Upson, University of Texas at El Paso Strategic Liquidity Supply in a Market with Fast and Slow Traders Discussant: Jonathan Brogaard, University of Washington
2:20 pm	Coffee Break
2:35 pm	Lawrence Harris, University of Southern California The Homogenization of US Equity Trading Discussant: Bonnie Van Ness, University of Mississippi
3:25 pm	Coffee Break
3:40 pm	Maureen O'Hara, Cornell University Chen Yao, University of Illinois Mao Ye, University of Illinois What’s Not There: The Odd-Lot Bias in TAQ Data Discussant: Elizabeth Odders-White, University of Wisconsin-Madison
4:30 pm	Adjourn

10/27/11